This survey reviews the growing literature on pairs trading frameworks, ie, relative‐value
arbitrage strategies involving two or more securities. Research is categorized into five …

Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications
provides a systematic study to the practical problem of optimal trading in the presence of …

The optimal mean-reverting portfolio (MRP) design problem is an important task for
statistical arbitrage, also known as pairs trading, in the financial markets. The target of the …

Quantitative trading in oil-based markets is investigated over 2003–2010, with a focus on
WTI, Brent, heating oil and gas oil. A total of 861 spreads are considered. A novel optimal …

We propose an alternative pairs trading strategy based on computing a mispricing index in a
novel way via a mixed copula model, or more specifically via an optimal linear combination …

This paper considers the mean-reverting portfolio (MRP) design problem arising from
statistical arbitrage (aka pairs trading) in the financial markets. It aims at designing a portfolio …

This study derives an optimal pairs trading strategy based on a Lévy-driven Ornstein–
Uhlenbeck process and applies it to high-frequency data of the S&P 500 constituents from …

We propose a framework for constructing diversified portfolios with multiple pairs trading
strategies. In our approach, several pairs of co-moving assets are traded simultaneously …

In this paper, we adapt the demand and supply framework introduced by Figuerola‐Ferretti
and Gonzalo (Journal of Econometrics, 2010) to illustrate the dynamics of Pairs‐trading. We …

We present a Monte Carlo approach to pairs trading on mean-reverting spreads modelled
by Lévy-driven Ornstein-Uhlenbeck processes. Specifically, we focus on using a variance …